Commodity Derivatives Quantitative Analyst
RESPONSIBILITIES
- Validating and maintaining existing pricing models in front to back system to support the Commodity Derivatives trading team.
- Developing and implementing new pricing models to support the Commodity Derivatives trading team.
- Define and set-up Risk Analysis (Greeks calculation, Vega bucketing, Delta Gap for barriers etc.) in front to back system.
- Enhancing, developing and maintaining pricing spread sheets (linked to front end system) for the Commodity Derivatives trading team.
- Working on time series to calibrate parameters estimation for the pricing of exotic products (volatility, correlation, etc.).
- Complete adhoc projects as directed by the Head of the team.
PERSON SPECIFICATION
- Master's degree or PhD in quantitative orientation (physics, mathematics, statistics / econometrics, science etc.) from a top tier University.
- Minimum of 3 years’ experience as a quantitative analyst on a commodity structured products desk.
- Proven track record of working with traders to model, price, hedge, value and optimize commodity derivatives.
- Experience in commodity derivatives modeling (vanilla and exotic pricing models mandatory).
- Experience with Murex environment would be a plus.
- Experience of swaps, options, barriers, Asian, spread option, composite.
- Excellent computing skills are mandatory (Excel, VBA, C++, C Sharp).
- Well-developed communication skills with the ability to explain detailed technical information in a clear and concise manner.
- Flexible and dynamic approach with good interpersonal skills – able to work in a small team.
- Good project management skills, able to organize own workload and manage multiple priorities whilst maintaining attention to detail.
- Fluent English and useful to have a second language e.g. French but not essential.
COMPANY BACKGROUND
Established in 1783, EDF Man is a specialist merchant of agricultural commodities, trading specifically in sugar, molasses and coffee. We also act as broker to clients who need to access commodity and capital markets to hedge their risk.
EDF Man is a highly entrepreneurial environment providing the opportunity to build an international career in a partnership culture.
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